On an independent and identically distributed mixture bilinear time-series model
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Publication:3077682
DOI10.1111/j.1467-9892.2009.00649.xzbMath1224.62043MaRDI QIDQ3077682
Abdelhakim Aknouche, Nadia Rabehi
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00649.x
EM algorithm; geometric ergodicity; second-order stationarity; mixture autoregression; mixture bilinear model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Recursive online EM estimation of mixture autoregressions, Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
Uses Software
Cites Work
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